The New Issues Puzzle: Testing the Investment-Based Explanation

• 成果类型: Article
• 署名作者: Lyandres, Evgeny; Sun, Le; Zhang, Lu
• 署名单位: University of Michigan System; University of Michigan; Rice University; University of Rochester; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhm058
• 发表日期: 2008
• 页码: 2825
• 关键词: LONG-RUN UNDERPERFORMANCE; ABNORMAL STOCK RETURNS; operating performance; MARKET-EFFICIENCY; RISK; equilibrium; options

摘要

An investment factor, long in low-investment stocks and short in high-investment stocks, helps explain the new issues puzzle. Adding the investment factor into standard factor regressions reduces the SEO underperformance by about 75%, the IPO underperformance by 80%, the underperformance following convertible debt offerings by 50%, and Daniel and Titman's (2006) composite issuance effect by 40%. The reason is that issuers invest more than nonissuers, and the investment factor earns a significantly positive average return of 0.57% per month.